lgarch: Simulation and Estimation of Log-GARCH Models

Simulation and estimation of univariate and multivariate log-GARCH models. The main functions of the package are: lgarchSim(), mlgarchSim(), lgarch() and mlgarch(). The first two functions simulate from a univariate and a multivariate log-GARCH model, respectively, whereas the latter two estimate a univariate and multivariate log-GARCH model, respectively.

Install the latest version of this package by entering the following in R:
AuthorGenaro Sucarrat
Date of publication2015-09-15 19:46:40
MaintainerGenaro Sucarrat <genaro.sucarrat@bi.no>

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